Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- JMP User Community
- :
- Discussions
- :
- Significance of augmented Dickey-Fuller tests?

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Get Direct Link
- Email to a Friend
- Report Inappropriate Content

Apr 6, 2009 11:49 AM
(1908 views)

1 ACCEPTED SOLUTION

Accepted Solutions

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Get Direct Link
- Email to a Friend
- Report Inappropriate Content

Apr 14, 2009 11:23 AM
(1703 views)

Solution

This is the response from JMP Technical Support:

Dear Mark,

Thank you for your question regarding ADF tests in JMP.

The values printed for the Zero Mean, Single Mean and Trend ADF in JMP are the Tau statistics associated with the Dickey-Fuller test. Because Dickey and Fuller produced look-up tables for the critical values associated with the distribution of the Tau statistic, and because the associated p-values would only be approximations, the developer decided not to print approximate p-values for these statistics. Tabled values may be found in the following references:

Dickey, D. A. and Fuller, W. A. (1979), "Distribution of the Estimation for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74, 427-431.

Dickey, D. A., Hasza, D. P., and Fuller, W. A. (1984), "Testing for Unit Roots in Seasonal Time Series," Journal of the American Statistical Association, 79, 355-367.

Another excellent reference for the Dickey-Fuller tests is:

Hamilton, J. D. (1994), Time Series Analysis, Princeton: Princeton University Press.

You may want to refer to the tables noted in the above references to determine the significance of the test statistics printed by JMP.

I hope this information is helpful. If you have additional questions on this matter, please let me know by April 21, 2009. I will keep this track open for one week. Thank you for using SAS.

Best Regards,

Wen

Dear Mark,

Thank you for your question regarding ADF tests in JMP.

The values printed for the Zero Mean, Single Mean and Trend ADF in JMP are the Tau statistics associated with the Dickey-Fuller test. Because Dickey and Fuller produced look-up tables for the critical values associated with the distribution of the Tau statistic, and because the associated p-values would only be approximations, the developer decided not to print approximate p-values for these statistics. Tabled values may be found in the following references:

Dickey, D. A. and Fuller, W. A. (1979), "Distribution of the Estimation for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74, 427-431.

Dickey, D. A., Hasza, D. P., and Fuller, W. A. (1984), "Testing for Unit Roots in Seasonal Time Series," Journal of the American Statistical Association, 79, 355-367.

Another excellent reference for the Dickey-Fuller tests is:

Hamilton, J. D. (1994), Time Series Analysis, Princeton: Princeton University Press.

You may want to refer to the tables noted in the above references to determine the significance of the test statistics printed by JMP.

I hope this information is helpful. If you have additional questions on this matter, please let me know by April 21, 2009. I will keep this track open for one week. Thank you for using SAS.

Best Regards,

Wen

1 REPLY

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Get Direct Link
- Email to a Friend
- Report Inappropriate Content

Apr 14, 2009 11:23 AM
(1704 views)

Dear Mark,

Thank you for your question regarding ADF tests in JMP.

The values printed for the Zero Mean, Single Mean and Trend ADF in JMP are the Tau statistics associated with the Dickey-Fuller test. Because Dickey and Fuller produced look-up tables for the critical values associated with the distribution of the Tau statistic, and because the associated p-values would only be approximations, the developer decided not to print approximate p-values for these statistics. Tabled values may be found in the following references:

Dickey, D. A. and Fuller, W. A. (1979), "Distribution of the Estimation for Autoregressive Time Series with a Unit Root," Journal of the American Statistical Association, 74, 427-431.

Dickey, D. A., Hasza, D. P., and Fuller, W. A. (1984), "Testing for Unit Roots in Seasonal Time Series," Journal of the American Statistical Association, 79, 355-367.

Another excellent reference for the Dickey-Fuller tests is:

Hamilton, J. D. (1994), Time Series Analysis, Princeton: Princeton University Press.

You may want to refer to the tables noted in the above references to determine the significance of the test statistics printed by JMP.

I hope this information is helpful. If you have additional questions on this matter, please let me know by April 21, 2009. I will keep this track open for one week. Thank you for using SAS.

Best Regards,

Wen